Trend-Following Backtester · Guide · backtest 한국어
etf · US
iShares MSCI France Index Fund backtest
10 trend-following strategies were compared on the full daily history of iShares MSCI France Index Fund. 2 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 5.5%, MDD -29.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 4.3%, drawdown -64.0%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 5.5%, MDD -29.8%, Sharpe 0.42, 64% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 1.1%p higher than buy and hold, while drawdown improves by 34.1%p (CAGR 5.5%, MDD -29.8%, exposure 64%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=15, slow=195 |
5.5% | -29.8% | 0.42 | 0.18 | 5.1x | 57 | 64% |
| EMA 크로스오버 fast=37, slow=131 |
5.0% | -35.4% | 0.39 | 0.14 | 4.4x | 51 | 65% |
| Donchian 채널 돌파 entryN=106, exitN=97 |
4.3% | -32.3% | 0.37 | 0.13 | 3.6x | 32 | 56% |
| ROC 모멘텀 n=148, threshold=-0.05 |
3.1% | -51.0% | 0.27 | 0.06 | 2.5x | 159 | 72% |
| 볼린저 밴드 돌파 n=53, k=3 |
1.2% | -18.8% | 0.25 | 0.07 | 1.5x | 20 | 8% |
| ADX / DI 방향성 period=31, threshold=27 |
0.6% | -6.3% | 0.23 | 0.09 | 1.2x | 6 | 2% |
| Keltner 채널 돌파 emaPeriod=8, atrPeriod=19, mult=3.3 |
0.2% | -3.2% | 0.15 | 0.05 | 1.1x | 4 | 0% |
| Supertrend period=25, mult=4.3 |
-1.8% | -61.5% | -0.04 | -0.03 | 0.6x | 177 | 60% |
| Parabolic SAR step=0.005, maxStep=0.24 |
-2.0% | -63.1% | -0.05 | -0.03 | 0.5x | 262 | 59% |
| MACD fast=24, slow=50, signal=20 |
-2.4% | -61.5% | -0.08 | -0.04 | 0.5x | 285 | 50% |
| Buy and hold | 4.3% | -64.0% | 0.30 | 0.07 | 3.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 15-day average price crosses above the 195-day average
- Sell — Sell (to cash) when the 15-day average falls below the 195-day average